Semiparametrics via parametrics and contiguity

Adam Lee, Emil A. Stoltenberg and Per A. Mykland

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Abstract: Inference on the parametric part of a semiparametric model is no trivial task. On the other hand, if one approximates the infinite dimensional part of the semiparametric model by a parametric function, one obtains a parametric model that is in some sense close to the semiparametric model; and inference may proceed by the method of maximum likelihood. Under regularity conditions, and assuming that the approximating parametric model in fact generated the data, the ensuing maximum likelihood estimator is asymptotically normal and efficient (in the approximating parametric model). Thus one obtains a sequence of asymptotically normal and efficient estimators in a sequence of growing parametric models that approximate the semiparametric model and, intuitively, the limiting {`}semiparametric{'} estimator should be asymptotically normal and efficient as well. In this paper we make this intuition rigorous. Consequently, we are able to move much of the semiparametric analysis back into classical parametric terrain, and then translate our parametric results back to the semiparametric world by way of contiguity. Our approach departs from the sieve literature by being more specific about the approximating parametric models, by working under these when treating the parametric models, and by taking advantage of the mutual contiguity between the parametric and semiparametric models to lift conclusions about the former to conclusions about the latter. We illustrate our theory with two canonical examples of semiparametric models, namely the partially linear regression model and the Cox regression model. An upshot of our theory is a new, relatively simple, and rather parametric proof of the efficiency of the Cox partial likelihood estimator.

Date: 2025-01
New Economics Papers: this item is included in nep-ecm
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